Title: Fluctuation patterns in high-frequency financial asset returns
Abstract:We introduce a new method for quantifying pattern-based complex short-time correlations of a time series. Our correlation measure is 1 for a perfectly correlated and 0 for a random walk time series. W...We introduce a new method for quantifying pattern-based complex short-time correlations of a time series. Our correlation measure is 1 for a perfectly correlated and 0 for a random walk time series. When we apply this method to high-frequency time series data of the German DAX future, we find clear correlations on short time scales. In order to subtract trivial autocorrelation parts from the pattern conformity, we introduce a simple model for reproducing the antipersistent regime and use alternatively level 1 quotes. When we remove the pattern conformity of this stochastic process from the original data, remaining pattern-based correlations can be observed.Read More
Publication Year: 2008
Publication Date: 2008-06-01
Language: en
Type: article
Indexed In: ['crossref']
Access and Citation
Cited By Count: 32
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